ldlt {dynmix}

Computes LDL' Matrix Decomposition.

Description

This function decomposes matrix V into V=LDL', where L is a lower triangular matrix with unit diagonal and D is a diagonal matrix with non-negative terms.

Usage

ldlt(A)

Arguments

A

symmetric positive-definite matrix

Value

list of

$L

matrix L

$D

matrix D

References

Zhuang, X., 2020, Lecture Notes in Numerical Analysis (MATH 381), University of Alberta.

Examples

A <- matrix(c(5,1,1,3),2,2)
V <- ldlt(A)
V$L
V$D
V$L %*% V$D %*% t(V$L)
A